波动率套期保值对股市的影响：来自波动率指数交易所交易产品日末交易的证据

IF 3.8 2区经济学 Q1 BUSINESS, FINANCE

Journal of Banking & Finance Pub Date : 2025-09-17 DOI:10.1016/j.jbankfin.2025.107556

Christine Bangsgaard, Thomas Kokholm

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引用次数: 0

摘要

波动率指数期货做市商可以通过交易标准普尔指数期权和期货来对冲其波动率敞口。我们使用VIX ETP发行者的每日VIX期货需求作为对做市商净头寸的日末冲击的估计，发现需求在与VIX期货对冲通道一致的方向上影响SPX期货市场。波动率指数ETP的需求是一个强有力的预测收盘标准普尔指数期货回报样本内和样本外。我们发现了随后反转的证据，表明VIX期货对冲活动可以由于与价格发现无关的原因移动标准普尔指数期货市场。

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The stock market impact of volatility hedging: Evidence from end-of-day trading by VIX ETPs

VIX futures market makers can hedge their volatility exposure by trading SPX options and futures. We use the daily VIX futures demand by VIX ETP issuers as an estimate of the end-of-day shock to market makers’ net position and find that the demand impacts the SPX futures market in the direction consistent with the VIX futures hedging channel. The VIX ETP demand is a strong predictor of the end-of-day SPX futures return in-sample and out-of-sample. We find evidence of a subsequent reversal, suggesting that VIX futures hedging activities can move the SPX futures market for reasons unrelated to price discovery.

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来源期刊

Journal of Banking & Finance Multiple-

CiteScore

6.40

自引率

5.40%

发文量

262

期刊介绍： The Journal of Banking and Finance (JBF) publishes theoretical and empirical research papers spanning all the major research fields in finance and banking. The aim of the Journal of Banking and Finance is to provide an outlet for the increasing flow of scholarly research concerning financial institutions and the money and capital markets within which they function. The Journal''s emphasis is on theoretical developments and their implementation, empirical, applied, and policy-oriented research in banking and other domestic and international financial institutions and markets. The Journal''s purpose is to improve communications between, and within, the academic and other research communities and policymakers and operational decision makers at financial institutions - private and public, national and international, and their regulators. The Journal is one of the largest Finance journals, with approximately 1500 new submissions per year, mainly in the following areas: Asset Management; Asset Pricing; Banking (Efficiency, Regulation, Risk Management, Solvency); Behavioural Finance; Capital Structure; Corporate Finance; Corporate Governance; Derivative Pricing and Hedging; Distribution Forecasting with Financial Applications; Entrepreneurial Finance; Empirical Finance; Financial Economics; Financial Markets (Alternative, Bonds, Currency, Commodity, Derivatives, Equity, Energy, Real Estate); FinTech; Fund Management; General Equilibrium Models; High-Frequency Trading; Intermediation; International Finance; Hedge Funds; Investments; Liquidity; Market Efficiency; Market Microstructure; Mergers and Acquisitions; Networks; Performance Analysis; Political Risk; Portfolio Optimization; Regulation of Financial Markets and Institutions; Risk Management and Analysis; Systemic Risk; Term Structure Models; Venture Capital.